PERHITUNGAN RISIKO HARGA CABAI MENGGUNAKAN MODEL ARIMA ARCH-GARCH DAN VALUE AT RISK DI PASAR LEGI KOTA SURAKARTA

Abstract

Abstract : The purpose of this study was to forecast and to calculate risk level of chilies prices in Pasar Legi at Surakarta City. The basic method that used on this research are analytical descriptive method and purposively choosing the research place. The analysis methods that used on this research are: (1) ARIMA and ARCH-GARCH model to calculate the chillies price forecast, and (2) value at risk (VaR) to calculate the risk level that might be happen on the trader’s side. The results showed that the closest price forecast to actual one is big red chilli on September 6th 2019 periode with 156 deviation and the farthest price forecast is red curly chilli on September 2nd 2019 periode with 10.920 deviation. The highest level of price risk occurs on red cayenne chilli.

Keywoard : Risk, Price, ARIMA, ARCH-GARCH, Value at Risk